An Empirical Investigation on the Relationship between Public Information and Market Activities

The authors investigate the relationship between public information and market activities by utilizing event studies and employing data from the stock markets in Mainland China. The major findings are: (1) Public information has significant impact on market activity in Chinese stock markets. (2) Both pre-disclosure and lagged reactions exist or the markets are not efficient. (3) Pre-disclosure of public information by insiders may result in pre-disclosure reaction. And pre-disclosure of information in B-share market is less serious than in A-share market. (4) Lagged reactions of both markets turn out to be over-reactions to public information. (5) Good news is published early and bad news is postponed. (6) Both A-share and B-share markets have different reactions to different news. (7) EPS, book value per share, book-to-market value ratio and ROE have significant impact on accumulative abnormal returns.